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Asymptotics of discrete MDL for online prediction

Poland, Jan; Hutter, Marcus

Description

Minimum Description Length (MDL) is an important principle for induction and prediction, with strong relations to optimal Bayesian learning. This paper deals with learning non-i.i.d. processes by means of two-part MDL, where the underlying model class is countable. We consider the online learning framework, i.e. observations come in one by one, and the predictor is allowed to update his state of mind after each time step. We identify two ways of predicting by MDL for this setup, namely a...[Show more]

CollectionsANU Research Publications
Date published: 2005-06-08
Type: Journal article
URI: http://hdl.handle.net/1885/15036
Source: IEEE Transactions on Information Theory, 51:11 (2005) 3780-3795
DOI: 10.1109/TIT.2005.856956

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